英文标题：
《Likelihood Evaluation of Jump-Diffusion Models Using Deterministic
  Nonlinear Filters》
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作者：
Jean-Fran\\c{c}ois B\\\'egin and Mathieu Boudreault
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最新提交年份：
2019
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英文摘要：
  In this study, we develop a deterministic nonlinear filtering algorithm based on a high-dimensional version of Kitagawa (1987) to evaluate the likelihood function of models that allow for stochastic volatility and jumps whose arrival intensity is also stochastic. We show numerically that the deterministic filtering method is precise and much faster than the particle filter, in addition to yielding a smooth function over the parameter space. We then find the maximum likelihood estimates of various models that include stochastic volatility, jumps in the returns and variance, and also stochastic jump arrival intensity with the S&P 500 daily returns. During the Great Recession, the jump arrival intensity increases significantly and contributes to the clustering of volatility and negative returns.
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中文摘要：
在本研究中，我们基于北川（1987）的高维版本开发了一种确定性非线性滤波算法，以评估允许随机波动和到达强度也是随机的跳跃的模型的似然函数。数值结果表明，除了在参数空间上生成光滑函数外，确定性滤波方法比粒子滤波方法精度高，速度快得多。然后，我们找到了各种模型的最大似然估计，包括随机波动率、收益率和方差的跳跃，以及标准普尔500指数日收益率的随机跳跃到达强度。在大衰退期间，跳跃到达强度显著增加，有助于波动性和负回报的聚集。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Statistics        统计学
二级分类：Computation        计算
分类描述：Algorithms, Simulation, Visualization
算法、模拟、可视化
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一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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